2018-11-09 19:51:15 +00:00
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# pragma pylint: disable=missing-docstring, W0212, line-too-long, C0103, C0330, unused-argument
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2018-07-09 19:38:49 +00:00
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import logging
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import pytest
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2019-12-17 22:06:03 +00:00
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from freqtrade.data.history import get_timerange
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2018-07-09 19:38:49 +00:00
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from freqtrade.optimize.backtesting import Backtesting
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2018-07-30 19:32:54 +00:00
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from freqtrade.strategy.interface import SellType
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2019-09-08 07:54:15 +00:00
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from tests.conftest import patch_exchange
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from tests.optimize import (BTContainer, BTrade, _build_backtest_dataframe,
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2019-11-03 09:01:05 +00:00
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_get_frame_time_from_offset, tests_timeframe)
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2018-10-29 19:17:15 +00:00
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2020-09-28 17:43:15 +00:00
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2019-08-05 18:19:19 +00:00
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# Test 0: Sell with signal sell in candle 3
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2019-06-13 18:00:56 +00:00
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# Test with Stop-loss at 1%
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tc0 = BTContainer(data=[
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# D O H L C V B S
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[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
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[1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle)
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[2, 4987, 5012, 4986, 4600, 6172, 0, 0], # exit with stoploss hit
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[3, 5010, 5000, 4980, 5010, 6172, 0, 1],
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[4, 5010, 4987, 4977, 4995, 6172, 0, 0],
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[5, 4995, 4995, 4995, 4950, 6172, 0, 0]],
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2019-10-05 08:40:59 +00:00
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stop_loss=-0.01, roi={"0": 1}, profit_perc=0.002, use_sell_signal=True,
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2019-06-13 18:00:56 +00:00
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trades=[BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=4)]
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)
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2019-08-05 18:19:19 +00:00
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# Test 1: Stop-Loss Triggered 1% loss
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2018-07-10 19:08:44 +00:00
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# Test with Stop-loss at 1%
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2019-03-17 12:27:32 +00:00
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tc1 = BTContainer(data=[
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2018-10-30 19:49:12 +00:00
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# D O H L C V B S
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2018-10-30 19:42:34 +00:00
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[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
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[1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle)
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[2, 4987, 5012, 4600, 4600, 6172, 0, 0], # exit with stoploss hit
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[3, 4975, 5000, 4980, 4977, 6172, 0, 0],
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[4, 4977, 4987, 4977, 4995, 6172, 0, 0],
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[5, 4995, 4995, 4995, 4950, 6172, 0, 0]],
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2019-10-05 08:40:59 +00:00
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stop_loss=-0.01, roi={"0": 1}, profit_perc=-0.01,
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2018-10-30 18:44:31 +00:00
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trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=2)]
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2018-10-30 18:33:32 +00:00
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)
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2018-07-11 05:18:52 +00:00
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2018-07-10 19:08:44 +00:00
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2019-08-05 18:19:19 +00:00
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# Test 2: Minus 4% Low, minus 1% close
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2018-07-10 19:08:44 +00:00
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# Test with Stop-Loss at 3%
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2019-03-17 12:27:32 +00:00
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tc2 = BTContainer(data=[
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2018-11-01 12:16:10 +00:00
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# D O H L C V B S
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2018-11-09 19:51:15 +00:00
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[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
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[1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle)
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[2, 4987, 5012, 4962, 4975, 6172, 0, 0],
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[3, 4975, 5000, 4800, 4962, 6172, 0, 0], # exit with stoploss hit
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[4, 4962, 4987, 4937, 4950, 6172, 0, 0],
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[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
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2019-10-05 08:40:59 +00:00
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stop_loss=-0.03, roi={"0": 1}, profit_perc=-0.03,
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2018-10-30 18:44:31 +00:00
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trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=3)]
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2018-11-09 19:51:15 +00:00
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)
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2018-07-10 19:08:44 +00:00
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2019-08-05 18:19:19 +00:00
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# Test 3: Multiple trades.
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# Candle drops 4%, Recovers 1%.
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# Entry Criteria Met
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# Candle drops 20%
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# Trade-A: Stop-Loss Triggered 2% Loss
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# Trade-B: Stop-Loss Triggered 2% Loss
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2019-03-17 12:27:32 +00:00
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tc3 = BTContainer(data=[
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2018-11-01 12:16:10 +00:00
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# D O H L C V B S
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2018-10-30 19:42:34 +00:00
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[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
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[1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle)
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[2, 4987, 5012, 4800, 4975, 6172, 0, 0], # exit with stoploss hit
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[3, 4975, 5000, 4950, 4962, 6172, 1, 0],
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[4, 4975, 5000, 4950, 4962, 6172, 0, 0], # enter trade 2 (signal on last candle)
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[5, 4962, 4987, 4000, 4000, 6172, 0, 0], # exit with stoploss hit
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[6, 4950, 4975, 4975, 4950, 6172, 0, 0]],
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2019-10-05 08:40:59 +00:00
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stop_loss=-0.02, roi={"0": 1}, profit_perc=-0.04,
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2018-10-30 18:44:31 +00:00
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trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=2),
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BTrade(sell_reason=SellType.STOP_LOSS, open_tick=4, close_tick=5)]
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2018-10-30 18:33:32 +00:00
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)
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2018-07-10 19:08:44 +00:00
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2019-08-05 18:19:19 +00:00
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# Test 4: Minus 3% / recovery +15%
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2018-10-30 18:36:19 +00:00
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# Candle Data for test 3 – Candle drops 3% Closed 15% up
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2018-07-10 19:08:44 +00:00
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# Test with Stop-loss at 2% ROI 6%
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2019-08-05 18:19:19 +00:00
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# Stop-Loss Triggered 2% Loss
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2019-03-17 12:27:32 +00:00
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tc4 = BTContainer(data=[
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2018-11-01 12:16:10 +00:00
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# D O H L C V B S
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2018-10-30 19:42:34 +00:00
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[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
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[1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle)
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[2, 4987, 5750, 4850, 5750, 6172, 0, 0], # Exit with stoploss hit
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[3, 4975, 5000, 4950, 4962, 6172, 0, 0],
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[4, 4962, 4987, 4937, 4950, 6172, 0, 0],
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[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
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2019-10-05 08:40:59 +00:00
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stop_loss=-0.02, roi={"0": 0.06}, profit_perc=-0.02,
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2018-10-30 18:44:31 +00:00
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trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=2)]
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2018-10-30 18:33:32 +00:00
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)
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2018-07-10 19:08:44 +00:00
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2019-08-05 18:19:19 +00:00
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# Test 5: Drops 0.5% Closes +20%, ROI triggers 3% Gain
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# stop-loss: 1%, ROI: 3%
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2019-03-17 12:27:32 +00:00
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tc5 = BTContainer(data=[
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2018-11-01 12:16:10 +00:00
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# D O H L C V B S
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2018-10-30 19:42:34 +00:00
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[0, 5000, 5025, 4980, 4987, 6172, 1, 0],
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[1, 5000, 5025, 4980, 4987, 6172, 0, 0], # enter trade (signal on last candle)
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[2, 4987, 5025, 4975, 4987, 6172, 0, 0],
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[3, 4975, 6000, 4975, 6000, 6172, 0, 0], # ROI
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[4, 4962, 4987, 4972, 4950, 6172, 0, 0],
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[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
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2019-10-05 08:40:59 +00:00
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stop_loss=-0.01, roi={"0": 0.03}, profit_perc=0.03,
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2018-10-30 18:44:31 +00:00
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trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
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2018-10-30 18:33:32 +00:00
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)
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2018-07-10 19:08:44 +00:00
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2019-08-05 18:19:19 +00:00
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# Test 6: Drops 3% / Recovers 6% Positive / Closes 1% positve, Stop-Loss triggers 2% Loss
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# stop-loss: 2% ROI: 5%
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2019-03-17 12:27:32 +00:00
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tc6 = BTContainer(data=[
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2018-11-01 12:16:10 +00:00
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# D O H L C V B S
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2018-10-30 19:42:34 +00:00
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[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
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[1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle)
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[2, 4987, 5300, 4850, 5050, 6172, 0, 0], # Exit with stoploss
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[3, 4975, 5000, 4950, 4962, 6172, 0, 0],
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[4, 4962, 4987, 4972, 4950, 6172, 0, 0],
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[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
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2019-10-05 08:40:59 +00:00
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stop_loss=-0.02, roi={"0": 0.05}, profit_perc=-0.02,
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2018-10-30 18:44:31 +00:00
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trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=2)]
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2018-10-30 18:33:32 +00:00
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)
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2018-07-10 19:08:44 +00:00
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2019-08-05 18:19:19 +00:00
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# Test 7: 6% Positive / 1% Negative / Close 1% Positve, ROI Triggers 3% Gain
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# stop-loss: 2% ROI: 3%
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2019-03-17 12:27:32 +00:00
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tc7 = BTContainer(data=[
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2018-11-01 12:16:10 +00:00
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# D O H L C V B S
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2018-10-30 19:42:34 +00:00
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[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
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[1, 5000, 5025, 4975, 4987, 6172, 0, 0],
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[2, 4987, 5300, 4950, 5050, 6172, 0, 0],
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[3, 4975, 5000, 4950, 4962, 6172, 0, 0],
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[4, 4962, 4987, 4972, 4950, 6172, 0, 0],
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[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
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2019-10-05 08:40:59 +00:00
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stop_loss=-0.02, roi={"0": 0.03}, profit_perc=0.03,
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2018-10-30 18:44:31 +00:00
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trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=2)]
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2018-11-09 19:51:15 +00:00
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)
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2018-07-10 19:08:44 +00:00
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2019-03-17 15:01:34 +00:00
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2019-08-05 18:19:19 +00:00
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# Test 8: trailing_stop should raise so candle 3 causes a stoploss.
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# stop-loss: 10%, ROI: 10% (should not apply), stoploss adjusted in candle 2
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2019-03-17 15:01:34 +00:00
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tc8 = BTContainer(data=[
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2019-03-17 15:26:38 +00:00
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# D O H L C V B S
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2019-03-17 15:01:34 +00:00
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[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
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[1, 5000, 5050, 4950, 5000, 6172, 0, 0],
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[2, 5000, 5250, 4750, 4850, 6172, 0, 0],
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[3, 4850, 5050, 4650, 4750, 6172, 0, 0],
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[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
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2019-10-05 08:40:59 +00:00
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stop_loss=-0.10, roi={"0": 0.10}, profit_perc=-0.055, trailing_stop=True,
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2019-03-17 15:01:34 +00:00
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trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
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)
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2019-03-17 15:26:38 +00:00
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2019-08-05 18:19:19 +00:00
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# Test 9: trailing_stop should raise - high and low in same candle.
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# stop-loss: 10%, ROI: 10% (should not apply), stoploss adjusted in candle 3
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2019-03-17 15:26:38 +00:00
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tc9 = BTContainer(data=[
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# D O H L C V B S
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[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
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[1, 5000, 5050, 4950, 5000, 6172, 0, 0],
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[2, 5000, 5050, 4950, 5000, 6172, 0, 0],
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[3, 5000, 5200, 4550, 4850, 6172, 0, 0],
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[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
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2019-10-05 08:40:59 +00:00
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stop_loss=-0.10, roi={"0": 0.10}, profit_perc=-0.064, trailing_stop=True,
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2019-03-17 15:26:38 +00:00
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trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
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)
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2019-08-05 18:19:19 +00:00
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# Test 10: trailing_stop should raise so candle 3 causes a stoploss
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2019-06-13 18:05:49 +00:00
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# without applying trailing_stop_positive since stoploss_offset is at 10%.
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2019-08-05 18:19:19 +00:00
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# stop-loss: 10%, ROI: 10% (should not apply), stoploss adjusted candle 2
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2019-06-13 18:05:49 +00:00
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tc10 = BTContainer(data=[
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# D O H L C V B S
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[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
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[1, 5000, 5050, 4950, 5100, 6172, 0, 0],
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[2, 5100, 5251, 5100, 5100, 6172, 0, 0],
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[3, 4850, 5050, 4650, 4750, 6172, 0, 0],
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[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
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2019-10-05 08:40:59 +00:00
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stop_loss=-0.10, roi={"0": 0.10}, profit_perc=-0.1, trailing_stop=True,
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2019-06-13 18:05:49 +00:00
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trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.10,
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trailing_stop_positive=0.03,
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trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=4)]
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)
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2019-08-05 18:19:19 +00:00
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# Test 11: trailing_stop should raise so candle 3 causes a stoploss
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2019-06-13 18:05:49 +00:00
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# applying a positive trailing stop of 3% since stop_positive_offset is reached.
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2019-08-05 18:19:19 +00:00
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# stop-loss: 10%, ROI: 10% (should not apply), stoploss adjusted candle 2
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2019-06-13 18:05:49 +00:00
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tc11 = BTContainer(data=[
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# D O H L C V B S
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[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
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[1, 5000, 5050, 4950, 5100, 6172, 0, 0],
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[2, 5100, 5251, 5100, 5100, 6172, 0, 0],
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2021-05-18 17:33:17 +00:00
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[3, 5000, 5150, 4650, 4750, 6172, 0, 0],
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2019-06-13 18:05:49 +00:00
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[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
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2019-10-05 08:40:59 +00:00
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stop_loss=-0.10, roi={"0": 0.10}, profit_perc=0.019, trailing_stop=True,
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2019-06-13 18:05:49 +00:00
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trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05,
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trailing_stop_positive=0.03,
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trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
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)
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2019-08-05 18:19:19 +00:00
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# Test 12: trailing_stop should raise in candle 2 and cause a stoploss in the same candle
|
2019-06-13 18:05:49 +00:00
|
|
|
|
# applying a positive trailing stop of 3% since stop_positive_offset is reached.
|
2019-08-05 18:19:19 +00:00
|
|
|
|
# stop-loss: 10%, ROI: 10% (should not apply), stoploss adjusted candle 2
|
2019-06-13 18:05:49 +00:00
|
|
|
|
tc12 = BTContainer(data=[
|
|
|
|
|
# D O H L C V B S
|
|
|
|
|
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
|
|
|
|
|
[1, 5000, 5050, 4950, 5100, 6172, 0, 0],
|
|
|
|
|
[2, 5100, 5251, 4650, 5100, 6172, 0, 0],
|
|
|
|
|
[3, 4850, 5050, 4650, 4750, 6172, 0, 0],
|
|
|
|
|
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
|
2019-10-05 08:40:59 +00:00
|
|
|
|
stop_loss=-0.10, roi={"0": 0.10}, profit_perc=0.019, trailing_stop=True,
|
2019-06-13 18:05:49 +00:00
|
|
|
|
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05,
|
|
|
|
|
trailing_stop_positive=0.03,
|
|
|
|
|
trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=2)]
|
|
|
|
|
)
|
|
|
|
|
|
2019-08-05 18:19:19 +00:00
|
|
|
|
# Test 13: Buy and sell ROI on same candle
|
|
|
|
|
# stop-loss: 10% (should not apply), ROI: 1%
|
2019-08-05 18:06:42 +00:00
|
|
|
|
tc13 = BTContainer(data=[
|
|
|
|
|
# D O H L C V B S
|
|
|
|
|
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
|
|
|
|
|
[1, 5000, 5100, 4950, 5100, 6172, 0, 0],
|
|
|
|
|
[2, 5100, 5251, 4850, 5100, 6172, 0, 0],
|
|
|
|
|
[3, 4850, 5050, 4850, 4750, 6172, 0, 0],
|
|
|
|
|
[4, 4750, 4950, 4850, 4750, 6172, 0, 0]],
|
2019-10-05 08:40:59 +00:00
|
|
|
|
stop_loss=-0.10, roi={"0": 0.01}, profit_perc=0.01,
|
2019-08-05 18:06:42 +00:00
|
|
|
|
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=1)]
|
|
|
|
|
)
|
|
|
|
|
|
|
|
|
|
# Test 14 - Buy and Stoploss on same candle
|
2019-08-05 18:19:19 +00:00
|
|
|
|
# stop-loss: 5%, ROI: 10% (should not apply)
|
2019-08-05 18:06:42 +00:00
|
|
|
|
tc14 = BTContainer(data=[
|
|
|
|
|
# D O H L C V B S
|
|
|
|
|
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
|
|
|
|
|
[1, 5000, 5100, 4600, 5100, 6172, 0, 0],
|
|
|
|
|
[2, 5100, 5251, 4850, 5100, 6172, 0, 0],
|
|
|
|
|
[3, 4850, 5050, 4850, 4750, 6172, 0, 0],
|
|
|
|
|
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
|
2019-10-05 08:40:59 +00:00
|
|
|
|
stop_loss=-0.05, roi={"0": 0.10}, profit_perc=-0.05,
|
2019-08-05 18:06:42 +00:00
|
|
|
|
trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=1)]
|
|
|
|
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
# Test 15 - Buy and ROI on same candle, followed by buy and Stoploss on next candle
|
2019-08-05 18:19:19 +00:00
|
|
|
|
# stop-loss: 5%, ROI: 10% (should not apply)
|
2019-08-05 18:06:42 +00:00
|
|
|
|
tc15 = BTContainer(data=[
|
|
|
|
|
# D O H L C V B S
|
|
|
|
|
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
|
|
|
|
|
[1, 5000, 5100, 4900, 5100, 6172, 1, 0],
|
|
|
|
|
[2, 5100, 5251, 4650, 5100, 6172, 0, 0],
|
|
|
|
|
[3, 4850, 5050, 4850, 4750, 6172, 0, 0],
|
|
|
|
|
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
|
2019-10-05 08:40:59 +00:00
|
|
|
|
stop_loss=-0.05, roi={"0": 0.01}, profit_perc=-0.04,
|
2019-08-05 18:06:42 +00:00
|
|
|
|
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=1),
|
|
|
|
|
BTrade(sell_reason=SellType.STOP_LOSS, open_tick=2, close_tick=2)]
|
|
|
|
|
)
|
|
|
|
|
|
2019-12-11 06:12:37 +00:00
|
|
|
|
# Test 16: Buy, hold for 65 min, then forcesell using roi=-1
|
2019-10-05 08:51:17 +00:00
|
|
|
|
# Causes negative profit even though sell-reason is ROI.
|
|
|
|
|
# stop-loss: 10%, ROI: 10% (should not apply), -100% after 65 minutes (limits trade duration)
|
|
|
|
|
tc16 = BTContainer(data=[
|
|
|
|
|
# D O H L C V B S
|
|
|
|
|
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
|
|
|
|
|
[1, 5000, 5025, 4975, 4987, 6172, 0, 0],
|
|
|
|
|
[2, 4987, 5300, 4950, 5050, 6172, 0, 0],
|
|
|
|
|
[3, 4975, 5000, 4940, 4962, 6172, 0, 0], # ForceSell on ROI (roi=-1)
|
|
|
|
|
[4, 4962, 4987, 4972, 4950, 6172, 0, 0],
|
|
|
|
|
[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
|
|
|
|
|
stop_loss=-0.10, roi={"0": 0.10, "65": -1}, profit_perc=-0.012,
|
|
|
|
|
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
|
|
|
|
|
)
|
|
|
|
|
|
2019-12-07 14:13:49 +00:00
|
|
|
|
# Test 17: Buy, hold for 120 mins, then forcesell using roi=-1
|
|
|
|
|
# Causes negative profit even though sell-reason is ROI.
|
|
|
|
|
# stop-loss: 10%, ROI: 10% (should not apply), -100% after 100 minutes (limits trade duration)
|
2021-04-03 14:54:47 +00:00
|
|
|
|
# Uses open as sell-rate (special case) - since the roi-time is a multiple of the timeframe.
|
2019-12-07 14:13:49 +00:00
|
|
|
|
tc17 = BTContainer(data=[
|
|
|
|
|
# D O H L C V B S
|
|
|
|
|
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
|
|
|
|
|
[1, 5000, 5025, 4975, 4987, 6172, 0, 0],
|
|
|
|
|
[2, 4987, 5300, 4950, 5050, 6172, 0, 0],
|
|
|
|
|
[3, 4980, 5000, 4940, 4962, 6172, 0, 0], # ForceSell on ROI (roi=-1)
|
|
|
|
|
[4, 4962, 4987, 4972, 4950, 6172, 0, 0],
|
|
|
|
|
[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
|
|
|
|
|
stop_loss=-0.10, roi={"0": 0.10, "120": -1}, profit_perc=-0.004,
|
|
|
|
|
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
|
|
|
|
|
)
|
|
|
|
|
|
2019-12-09 15:52:12 +00:00
|
|
|
|
|
|
|
|
|
# Test 18: Buy, hold for 120 mins, then drop ROI to 1%, causing a sell in candle 3.
|
|
|
|
|
# stop-loss: 10%, ROI: 10% (should not apply), -100% after 100 minutes (limits trade duration)
|
|
|
|
|
# uses open_rate as sell-price
|
|
|
|
|
tc18 = BTContainer(data=[
|
|
|
|
|
# D O H L C V B S
|
|
|
|
|
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
|
|
|
|
|
[1, 5000, 5025, 4975, 4987, 6172, 0, 0],
|
|
|
|
|
[2, 4987, 5300, 4950, 5200, 6172, 0, 0],
|
|
|
|
|
[3, 5200, 5220, 4940, 4962, 6172, 0, 0], # Sell on ROI (sells on open)
|
|
|
|
|
[4, 4962, 4987, 4972, 4950, 6172, 0, 0],
|
|
|
|
|
[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
|
|
|
|
|
stop_loss=-0.10, roi={"0": 0.10, "120": 0.01}, profit_perc=0.04,
|
|
|
|
|
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
|
|
|
|
|
)
|
|
|
|
|
|
|
|
|
|
# Test 19: Buy, hold for 119 mins, then drop ROI to 1%, causing a sell in candle 3.
|
|
|
|
|
# stop-loss: 10%, ROI: 10% (should not apply), -100% after 100 minutes (limits trade duration)
|
|
|
|
|
# uses calculated ROI (1%) as sell rate, otherwise identical to tc18
|
|
|
|
|
tc19 = BTContainer(data=[
|
|
|
|
|
# D O H L C V B S
|
|
|
|
|
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
|
|
|
|
|
[1, 5000, 5025, 4975, 4987, 6172, 0, 0],
|
|
|
|
|
[2, 4987, 5300, 4950, 5200, 6172, 0, 0],
|
|
|
|
|
[3, 5000, 5300, 4940, 4962, 6172, 0, 0], # Sell on ROI
|
|
|
|
|
[4, 4962, 4987, 4972, 4950, 6172, 0, 0],
|
|
|
|
|
[5, 4550, 4975, 4925, 4950, 6172, 0, 0]],
|
|
|
|
|
stop_loss=-0.10, roi={"0": 0.10, "120": 0.01}, profit_perc=0.01,
|
|
|
|
|
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
|
|
|
|
|
)
|
|
|
|
|
|
|
|
|
|
# Test 20: Buy, hold for 119 mins, then drop ROI to 1%, causing a sell in candle 3.
|
|
|
|
|
# stop-loss: 10%, ROI: 10% (should not apply), -100% after 100 minutes (limits trade duration)
|
|
|
|
|
# uses calculated ROI (1%) as sell rate, otherwise identical to tc18
|
|
|
|
|
tc20 = BTContainer(data=[
|
|
|
|
|
# D O H L C V B S
|
|
|
|
|
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
|
|
|
|
|
[1, 5000, 5025, 4975, 4987, 6172, 0, 0],
|
|
|
|
|
[2, 4987, 5300, 4950, 5200, 6172, 0, 0],
|
|
|
|
|
[3, 5200, 5300, 4940, 4962, 6172, 0, 0], # Sell on ROI
|
|
|
|
|
[4, 4962, 4987, 4972, 4950, 6172, 0, 0],
|
|
|
|
|
[5, 4550, 4975, 4925, 4950, 6172, 0, 0]],
|
|
|
|
|
stop_loss=-0.10, roi={"0": 0.10, "119": 0.01}, profit_perc=0.01,
|
|
|
|
|
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
|
|
|
|
|
)
|
|
|
|
|
|
2020-11-27 07:16:11 +00:00
|
|
|
|
# Test 21: trailing_stop ROI collision.
|
|
|
|
|
# Roi should trigger before Trailing stop - otherwise Trailing stop profits can be > ROI
|
|
|
|
|
# which cannot happen in reality
|
|
|
|
|
# stop-loss: 10%, ROI: 4%, Trailing stop adjusted at the sell candle
|
|
|
|
|
tc21 = BTContainer(data=[
|
|
|
|
|
# D O H L C V B S
|
|
|
|
|
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
|
|
|
|
|
[1, 5000, 5050, 4950, 5100, 6172, 0, 0],
|
|
|
|
|
[2, 5100, 5251, 4650, 5100, 6172, 0, 0],
|
|
|
|
|
[3, 4850, 5050, 4650, 4750, 6172, 0, 0],
|
|
|
|
|
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
|
|
|
|
|
stop_loss=-0.10, roi={"0": 0.04}, profit_perc=0.04, trailing_stop=True,
|
|
|
|
|
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05,
|
|
|
|
|
trailing_stop_positive=0.03,
|
|
|
|
|
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=2)]
|
|
|
|
|
)
|
|
|
|
|
|
|
|
|
|
# Test 22: trailing_stop Raises in candle 2 - but ROI applies at the same time.
|
|
|
|
|
# applying a positive trailing stop of 3% - ROI should apply before trailing stop.
|
|
|
|
|
# stop-loss: 10%, ROI: 4%, stoploss adjusted candle 2
|
|
|
|
|
tc22 = BTContainer(data=[
|
|
|
|
|
# D O H L C V B S
|
|
|
|
|
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
|
|
|
|
|
[1, 5000, 5050, 4950, 5100, 6172, 0, 0],
|
|
|
|
|
[2, 5100, 5251, 5100, 5100, 6172, 0, 0],
|
|
|
|
|
[3, 4850, 5050, 4650, 4750, 6172, 0, 0],
|
|
|
|
|
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
|
|
|
|
|
stop_loss=-0.10, roi={"0": 0.04}, profit_perc=0.04, trailing_stop=True,
|
|
|
|
|
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05,
|
|
|
|
|
trailing_stop_positive=0.03,
|
|
|
|
|
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=2)]
|
|
|
|
|
)
|
|
|
|
|
|
|
|
|
|
# Test 23: trailing_stop Raises in candle 2 (does not trigger)
|
|
|
|
|
# applying a positive trailing stop of 3% since stop_positive_offset is reached.
|
|
|
|
|
# ROI is changed after this to 4%, dropping ROI below trailing_stop_positive, causing a sell
|
|
|
|
|
# in the candle after the raised stoploss candle with ROI reason.
|
|
|
|
|
# Stoploss would trigger in this candle too, but it's no longer relevant.
|
|
|
|
|
# stop-loss: 10%, ROI: 4%, stoploss adjusted candle 2, ROI adjusted in candle 3 (causing the sell)
|
|
|
|
|
tc23 = BTContainer(data=[
|
|
|
|
|
# D O H L C V B S
|
|
|
|
|
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
|
|
|
|
|
[1, 5000, 5050, 4950, 5100, 6172, 0, 0],
|
|
|
|
|
[2, 5100, 5251, 5100, 5100, 6172, 0, 0],
|
|
|
|
|
[3, 4850, 5251, 4650, 4750, 6172, 0, 0],
|
|
|
|
|
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
|
|
|
|
|
stop_loss=-0.10, roi={"0": 0.1, "119": 0.03}, profit_perc=0.03, trailing_stop=True,
|
|
|
|
|
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05,
|
|
|
|
|
trailing_stop_positive=0.03,
|
|
|
|
|
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
|
|
|
|
|
)
|
|
|
|
|
|
2020-11-27 08:17:25 +00:00
|
|
|
|
# Test 24: Sell with signal sell in candle 3 (stoploss also triggers on this candle)
|
|
|
|
|
# Stoploss at 1%.
|
|
|
|
|
# Stoploss wins over Sell-signal (because sell-signal is acted on in the next candle)
|
|
|
|
|
tc24 = BTContainer(data=[
|
|
|
|
|
# D O H L C V B S
|
|
|
|
|
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
|
|
|
|
|
[1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle)
|
|
|
|
|
[2, 4987, 5012, 4986, 4600, 6172, 0, 0],
|
|
|
|
|
[3, 5010, 5000, 4855, 5010, 6172, 0, 1], # Triggers stoploss + sellsignal
|
|
|
|
|
[4, 5010, 4987, 4977, 4995, 6172, 0, 0],
|
|
|
|
|
[5, 4995, 4995, 4995, 4950, 6172, 0, 0]],
|
|
|
|
|
stop_loss=-0.01, roi={"0": 1}, profit_perc=-0.01, use_sell_signal=True,
|
|
|
|
|
trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=3)]
|
|
|
|
|
)
|
|
|
|
|
|
|
|
|
|
# Test 25: Sell with signal sell in candle 3 (stoploss also triggers on this candle)
|
|
|
|
|
# Stoploss at 1%.
|
|
|
|
|
# Sell-signal wins over stoploss
|
|
|
|
|
tc25 = BTContainer(data=[
|
|
|
|
|
# D O H L C V B S
|
|
|
|
|
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
|
|
|
|
|
[1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle)
|
|
|
|
|
[2, 4987, 5012, 4986, 4600, 6172, 0, 0],
|
|
|
|
|
[3, 5010, 5000, 4986, 5010, 6172, 0, 1],
|
|
|
|
|
[4, 5010, 4987, 4855, 4995, 6172, 0, 0], # Triggers stoploss + sellsignal acted on
|
|
|
|
|
[5, 4995, 4995, 4995, 4950, 6172, 0, 0]],
|
|
|
|
|
stop_loss=-0.01, roi={"0": 1}, profit_perc=0.002, use_sell_signal=True,
|
|
|
|
|
trades=[BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=4)]
|
|
|
|
|
)
|
|
|
|
|
|
|
|
|
|
# Test 26: Sell with signal sell in candle 3 (ROI at signal candle)
|
|
|
|
|
# Stoploss at 10% (irrelevant), ROI at 5% (will trigger)
|
|
|
|
|
# Sell-signal wins over stoploss
|
|
|
|
|
tc26 = BTContainer(data=[
|
|
|
|
|
# D O H L C V B S
|
|
|
|
|
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
|
|
|
|
|
[1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle)
|
|
|
|
|
[2, 4987, 5012, 4986, 4600, 6172, 0, 0],
|
|
|
|
|
[3, 5010, 5251, 4986, 5010, 6172, 0, 1], # Triggers ROI, sell-signal
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[4, 5010, 4987, 4855, 4995, 6172, 0, 0],
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[5, 4995, 4995, 4995, 4950, 6172, 0, 0]],
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stop_loss=-0.10, roi={"0": 0.05}, profit_perc=0.05, use_sell_signal=True,
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trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
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)
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# Test 27: Sell with signal sell in candle 3 (ROI at signal candle)
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# Stoploss at 10% (irrelevant), ROI at 5% (will trigger) - Wins over Sell-signal
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# TODO: figure out if sell-signal should win over ROI
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# Sell-signal wins over stoploss
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tc27 = BTContainer(data=[
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# D O H L C V B S
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[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
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[1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle)
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[2, 4987, 5012, 4986, 4600, 6172, 0, 0],
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[3, 5010, 5012, 4986, 5010, 6172, 0, 1], # sell-signal
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[4, 5010, 5251, 4855, 4995, 6172, 0, 0], # Triggers ROI, sell-signal acted on
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[5, 4995, 4995, 4995, 4950, 6172, 0, 0]],
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stop_loss=-0.10, roi={"0": 0.05}, profit_perc=0.05, use_sell_signal=True,
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trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=4)]
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)
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2019-12-09 15:52:12 +00:00
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2021-05-18 17:33:17 +00:00
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# Test 28: trailing_stop should raise so candle 3 causes a stoploss
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# Same case than tc11 - but candle 3 "gaps down" - the stoploss will be above the candle,
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# therefore "open" will be used
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# stop-loss: 10%, ROI: 10% (should not apply), stoploss adjusted candle 2
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tc28 = BTContainer(data=[
|
|
|
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# D O H L C V B S
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[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
|
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[1, 5000, 5050, 4950, 5100, 6172, 0, 0],
|
|
|
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[2, 5100, 5251, 5100, 5100, 6172, 0, 0],
|
|
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[3, 4850, 5050, 4650, 4750, 6172, 0, 0],
|
|
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[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
|
|
|
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|
stop_loss=-0.10, roi={"0": 0.10}, profit_perc=-0.03, trailing_stop=True,
|
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|
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|
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05,
|
|
|
|
|
trailing_stop_positive=0.03,
|
|
|
|
|
trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
|
|
|
|
|
)
|
|
|
|
|
|
2018-07-10 19:08:44 +00:00
|
|
|
|
TESTS = [
|
2019-06-13 18:00:56 +00:00
|
|
|
|
tc0,
|
2018-07-10 19:08:44 +00:00
|
|
|
|
tc1,
|
|
|
|
|
tc2,
|
|
|
|
|
tc3,
|
|
|
|
|
tc4,
|
|
|
|
|
tc5,
|
|
|
|
|
tc6,
|
2019-03-17 12:27:32 +00:00
|
|
|
|
tc7,
|
2019-03-17 15:01:34 +00:00
|
|
|
|
tc8,
|
2019-03-17 15:26:38 +00:00
|
|
|
|
tc9,
|
2019-06-13 18:05:49 +00:00
|
|
|
|
tc10,
|
|
|
|
|
tc11,
|
|
|
|
|
tc12,
|
2019-08-05 18:06:42 +00:00
|
|
|
|
tc13,
|
|
|
|
|
tc14,
|
|
|
|
|
tc15,
|
2019-10-05 08:51:17 +00:00
|
|
|
|
tc16,
|
2019-12-07 14:13:49 +00:00
|
|
|
|
tc17,
|
2019-12-09 15:52:12 +00:00
|
|
|
|
tc18,
|
|
|
|
|
tc19,
|
|
|
|
|
tc20,
|
2020-11-27 07:16:11 +00:00
|
|
|
|
tc21,
|
|
|
|
|
tc22,
|
|
|
|
|
tc23,
|
2020-11-27 08:17:25 +00:00
|
|
|
|
tc24,
|
|
|
|
|
tc25,
|
|
|
|
|
tc26,
|
|
|
|
|
tc27,
|
2021-05-18 17:33:17 +00:00
|
|
|
|
tc28,
|
2018-07-10 19:08:44 +00:00
|
|
|
|
]
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
@pytest.mark.parametrize("data", TESTS)
|
|
|
|
|
def test_backtest_results(default_conf, fee, mocker, caplog, data) -> None:
|
2018-07-09 19:38:49 +00:00
|
|
|
|
"""
|
|
|
|
|
run functional tests
|
|
|
|
|
"""
|
2018-07-10 19:08:44 +00:00
|
|
|
|
default_conf["stoploss"] = data.stop_loss
|
2019-10-05 08:40:59 +00:00
|
|
|
|
default_conf["minimal_roi"] = data.roi
|
2020-06-01 18:33:26 +00:00
|
|
|
|
default_conf["timeframe"] = tests_timeframe
|
2019-03-17 14:28:04 +00:00
|
|
|
|
default_conf["trailing_stop"] = data.trailing_stop
|
2019-06-13 18:00:56 +00:00
|
|
|
|
default_conf["trailing_only_offset_is_reached"] = data.trailing_only_offset_is_reached
|
|
|
|
|
# Only add this to configuration If it's necessary
|
2020-02-11 01:17:10 +00:00
|
|
|
|
if data.trailing_stop_positive is not None:
|
2019-06-13 18:00:56 +00:00
|
|
|
|
default_conf["trailing_stop_positive"] = data.trailing_stop_positive
|
|
|
|
|
default_conf["trailing_stop_positive_offset"] = data.trailing_stop_positive_offset
|
2019-10-05 10:29:59 +00:00
|
|
|
|
default_conf["ask_strategy"] = {"use_sell_signal": data.use_sell_signal}
|
2019-06-13 18:00:56 +00:00
|
|
|
|
|
2021-02-20 06:20:51 +00:00
|
|
|
|
mocker.patch("freqtrade.exchange.Exchange.get_fee", return_value=0.0)
|
|
|
|
|
mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
|
2018-07-09 19:38:49 +00:00
|
|
|
|
patch_exchange(mocker)
|
2018-10-30 18:58:06 +00:00
|
|
|
|
frame = _build_backtest_dataframe(data.data)
|
2018-07-09 19:38:49 +00:00
|
|
|
|
backtesting = Backtesting(default_conf)
|
2019-09-18 19:57:37 +00:00
|
|
|
|
backtesting.strategy.advise_buy = lambda a, m: frame
|
|
|
|
|
backtesting.strategy.advise_sell = lambda a, m: frame
|
2018-07-09 19:38:49 +00:00
|
|
|
|
caplog.set_level(logging.DEBUG)
|
|
|
|
|
|
2019-03-17 14:28:04 +00:00
|
|
|
|
pair = "UNITTEST/BTC"
|
2018-07-09 19:38:49 +00:00
|
|
|
|
# Dummy data as we mock the analyze functions
|
2019-11-03 09:38:21 +00:00
|
|
|
|
data_processed = {pair: frame.copy()}
|
2019-12-17 22:06:03 +00:00
|
|
|
|
min_date, max_date = get_timerange({pair: frame})
|
2021-04-30 05:40:07 +00:00
|
|
|
|
result = backtesting.backtest(
|
2019-12-13 23:12:44 +00:00
|
|
|
|
processed=data_processed,
|
|
|
|
|
start_date=min_date,
|
|
|
|
|
end_date=max_date,
|
|
|
|
|
max_open_trades=10,
|
2018-07-09 19:38:49 +00:00
|
|
|
|
)
|
|
|
|
|
|
2021-04-30 05:40:07 +00:00
|
|
|
|
results = result['results']
|
2018-10-30 18:33:32 +00:00
|
|
|
|
assert len(results) == len(data.trades)
|
2021-01-23 12:02:48 +00:00
|
|
|
|
assert round(results["profit_ratio"].sum(), 3) == round(data.profit_perc, 3)
|
2018-11-09 18:34:46 +00:00
|
|
|
|
|
2018-10-30 18:33:32 +00:00
|
|
|
|
for c, trade in enumerate(data.trades):
|
|
|
|
|
res = results.iloc[c]
|
2021-02-06 09:30:50 +00:00
|
|
|
|
assert res.sell_reason == trade.sell_reason.value
|
2020-06-26 07:21:28 +00:00
|
|
|
|
assert res.open_date == _get_frame_time_from_offset(trade.open_tick)
|
|
|
|
|
assert res.close_date == _get_frame_time_from_offset(trade.close_tick)
|